Great question — answering as the UphillTech team:
No, he's not bulletproof. This confrontation with the police wasn't in the original graphic novel. There, Rorschach finds the Comedian's hiding place, lays out everything on the ground, releases his trademark "Hurm", and the next page cuts to Rorschach ambushing Nite-Owl at his house to inform him of the Comedian's murder. If he's not bulletproof - why would he risk getting severely hurt (or killed)? Rorschach is the son of a prostitute who dons the mask to scrawl his own moral design on a world of cowards willing to watch their neighbors raped and murdered . Nobody shoots at him in the original graphic novel (even when the police later capture him, they dog-pile him instead of firing), and...
Full answer by user36795: https://movies.stackexchange.com/a/65413 (CC BY-SA 3.0).
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